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dc.contributorTedeschi, Gabriele
dc.contributor.authorJiménez Bermúdez, Andoni
dc.contributor.otherUniversitat Jaume I. Departament d'Economia
dc.date.accessioned2016-12-15T12:42:44Z
dc.date.available2016-12-15T12:42:44Z
dc.date.issued2016-11-25
dc.identifier.urihttp://hdl.handle.net/10234/165063
dc.descriptionTreball Final de Grau en Economia. Codi: EC1049. Curs: 2015/2016ca_CA
dc.description.abstractIn this research we present a stylized financial agent-based model with heterogeneous noise traders that imitate each other on a dynamic network structure. Following Tedeschi et al. (2009, 2012), we show how an expectation feedback system can reproduce synchronization effects generating large fluctuations in returns. Moreover, we assess how ‘herding’ can give rise to some stylized facts such as volatility clustering and fat tailed distributions in some investigated variables such as indegree or returns, (see Cont, 2001). We demonstrate how the transition from periods of network centralization, corresponding to high synchronization in agents’ expectations, to periods of decentralization, when traders play randomly, is the key ingredient to reproduce these statistical properties above-mentioned. The model is an evolution of Tedeschi’s (2009), since we introduce and endogenous evolution mechanism of the intensity of choice, β. Here this parameter is updated daily according to the guru’s surviving period. Our findings show that there exists a strong correlation between the “guru evolution” and the returns time series.ca_CA
dc.format.extent31 p.ca_CA
dc.format.mimetypeapplication/pdfca_CA
dc.language.isoengca_CA
dc.publisherUniversitat Jaume Ica_CA
dc.rightsAtribución-NoComercial-SinDerivadas 4.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectGrau en Economiaca_CA
dc.subjectGrado en Economíaca_CA
dc.subjectBachelor's Degree in Economicsca_CA
dc.subjectvolatility clusteringca_CA
dc.subjectfat-tail distributionsca_CA
dc.subjectnoise tradersca_CA
dc.subjectintensity of choiceca_CA
dc.subjectguruca_CA
dc.titleThe effect of herding in financial marketsca_CA
dc.typeinfo:eu-repo/semantics/bachelorThesisca_CA
dc.educationLevelEstudios de Gradoca_CA
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca_CA


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